IDEAS home Printed from https://ideas.repec.org/a/eee/reveco/v4y1995i1p29-36.html
   My bibliography  Save this article

The composition of stock price indices and the excess volatility puzzle

Author

Listed:
  • Drees, Burkhard
  • Eckwert, Bernhard

Abstract

No abstract is available for this item.

Suggested Citation

  • Drees, Burkhard & Eckwert, Bernhard, 1995. "The composition of stock price indices and the excess volatility puzzle," International Review of Economics & Finance, Elsevier, vol. 4(1), pages 29-36.
  • Handle: RePEc:eee:reveco:v:4:y:1995:i:1:p:29-36
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/1059-0560(95)90053-5
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-436, June.
    2. Pamela Labadie, 1986. "Comparative Dynamics and Risk Premia in an Overlapping Generations Model," Review of Economic Studies, Oxford University Press, vol. 53(1), pages 139-152.
    3. Constantinides, George M, 1990. "Habit Formation: A Resolution of the Equity Premium Puzzle," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 519-543, June.
    4. Shiller, Robert J, 1979. "The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure," Journal of Political Economy, University of Chicago Press, vol. 87(6), pages 1190-1219, December.
    5. Sandmo, Agnar, 1969. "Capital Risk, Consumption, and Portfolio Choice," Econometrica, Econometric Society, vol. 37(4), pages 586-599, October.
    6. John B. Donaldson & Rajnish Mehra, 1984. "Comparative Dynamics of an Equilibrium Intertemporal Asset Pricing Model," Review of Economic Studies, Oxford University Press, vol. 51(3), pages 491-508.
    7. Singleton, Kenneth J, 1980. "Expectations Models of the Term Structure and Implied Variance Bounds," Journal of Political Economy, University of Chicago Press, vol. 88(6), pages 1159-1176, December.
    8. Kleidon, Allan W, 1986. "Anomalies in Financial Economics: Blueprint for Change?," The Journal of Business, University of Chicago Press, vol. 59(4), pages 469-499, October.
    9. Friend, Irwin & Blume, Marshall E, 1975. "The Demand for Risky Assets," American Economic Review, American Economic Association, vol. 65(5), pages 900-922, December.
    10. LeRoy, Stephen F & LaCivita, C J, 1981. "Risk Aversion and the Dispersion of Asset Prices," The Journal of Business, University of Chicago Press, vol. 54(4), pages 535-547, October.
    11. LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-574, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Drees, Burkhard & Eckwert, Bernhard, 2000. "Leverage and the price volatility of equity shares in equilibrium," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 155-167.
    2. Bernhard Eckwert & Andreas Szczutkowski, 2006. "Rationally mispriced assets in equilibrium," Spanish Economic Review, Springer;Spanish Economic Association, vol. 8(4), pages 285-299, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:4:y:1995:i:1:p:29-36. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/620165 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.